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作者：Chen, Hui; Joslin, Scott; Ngoc-Khanh Tran
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Risks of rare economic disasters can have a large impact on asset prices. At the same time, difficulties in inference regarding both the likelihood and severity of disasters, as well as agency problems, can lead to significant disagreements among investors about disaster risk. We show that such disagreements generate strong risk-sharing motives, such that just a small number of optimists in the economy will significantly reduce the disaster risk premium. Our model highlights the latent nature ...
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作者：Kelly, Bryan; Ljungqvist, Alexander
作者单位：New York University; University of Chicago; National Bureau of Economic Research
摘要：We provide evidence for the importance of information asymmetry in asset pricing by using three natural experiments. Consistent with rational expectations models with multiple assets and multiple signals, we find that prices and uninformed demand fall as asymmetry increases. These falls are larger when more investors are uninformed, turnover is larger and more variable, payoffs are more uncertain, and the lost signal is more precise. Prices fall partly because expected returns become more sens...
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作者：Sun, Zheng; Wang, Ashley; Zheng, Lu
作者单位：University of California System; University of California Irvine; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We investigate whether skilled hedge fund managers are more likely to pursue unique investment strategies that result in superior performance. We propose a measure of the distinctiveness of a fund's investment strategy based on historical fund return data. We call the measure the Strategy Distinctiveness Index (SDI). We document substantial cross-sectional variations as well as strong persistence in SDI. Our main result indicates that, on average, a higher SDI is associated with better subsequ...
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作者：Evans, Richard B.; Fahlenbrach, Ruediger
作者单位：University of Virginia; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Advisors often manage multiple versions of a fund. These twins have the same manager and similar performance but are sold to different investors with differing abilities to select and monitor managers. Comparing investor flows in retail and institutional twins, we find that institutional investors are more sensitive to high fees and poor risk-adjusted performance. Consistent with the reduction of agency problems from greater monitoring, retail funds with an institutional twin outperform other ...
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作者：Favara, Giovanni
作者单位：International Monetary Fund
摘要：This article proposes a theory of investment fluctuations in which the source of the oscillating dynamics is an agency problem between financiers and entrepreneurs. In the model, investment decisions depend on entrepreneurs' initiative to select investment projects ex ante, and financiers' incentive to control entrepreneurs ex post. Too much control discourages entrepreneurial incentive to initiate new investment, whereas too little control jeopardizes its productivity. This initiative-control...
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作者：Christoffersen, Peter; Errunza, Vihang; Jacobs, Kris; Langlois, Hugues
作者单位：University of Houston System; University of Houston; Tilburg University; McGill University; University of Toronto
摘要：International equity markets are characterized by nonlinear dependence and asymmetries. We propose a new dynamic asymmetric copula model to capture long-run and short-run dependence, multivariate nonnormality, and asymmetries in large cross-sections. We find that correlations have increased markedly in both developed markets (DMs) and emerging markets (EMs), but they are much lower in EMs than in DMs. Tail dependence has also increased, but its level is still relatively low in EMs. We propose ...
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作者：Albuquerque, Rui
作者单位：Boston University
摘要：Aggregate stock market returns display negative skewness. Firm stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This article provides a unified theory that reconciles the two facts by explicitly modeling firm-level heterogeneity. I build a stationary asset pricing model of firm announcement events where firm returns display positive skewness. I then show that cross-sectional heterogeneity in firm announcement events...
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作者：Allen, Linda; Bali, Turan G.; Tang, Yi
作者单位：Georgetown University; City University of New York (CUNY) System; Baruch College (CUNY); Fordham University
摘要：We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future using out-of-sample tests conducted with U.S., European, and Asian bank data. Consistent with bank specialness, the CATFIN of both large and small banks forecasts macroeconomic declines, whereas a similarly defined measure for both nonfinancial firms and simulated fake banks has no marginal predictive ability....
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作者：Ozdagli, Ali K.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：This article rationalizes empirical patterns of market leverage, book leverage, book-to-market ratios, and stock returns across different book-to-market portfolios, using a model of firm financing and investment. The model analytically shows that tax deductibility of interest payments increases. effective investment irreversibility and that investment irreversibility weakens the relation between book-to-market values and returns. This provides a clear and novel mechanism showing how financial ...
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作者：Graham, John R.; Li, Si; Qiu, Jiaping
作者单位：Duke University; National Bureau of Economic Research; Wilfrid Laurier University; McMaster University
摘要：We study the role of firm- and manager-specific heterogeneities in executive compensation. We decompose the variation in executive compensation and find that time-invariant firm and, especially, manager fixed effects explain a majority of the variation in executive pay. We then show that in many settings, it is important to include fixed effects to mitigate potential omitted variable bias. Furthermore, we find that compensation fixed effects are significantly correlated with management styles ...
